Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0181 |
| Annualized Std Dev | 0.3113 |
| Annualized Sharpe (Rf=0%) | 0.0581 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3291.0000 |
| NAs | 1.0000 |
| Minimum | -0.1304 |
| Quartile 1 | -0.0085 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0093 |
| Maximum | 0.2345 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0004 |
| Stdev | 0.0196 |
| Skewness | 0.3484 |
| Kurtosis | 12.0457 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0139 |
| Gain Deviation | 0.0145 |
| Loss Deviation | 0.0148 |
| Downside Deviation (MAR=210%) | 0.0183 |
| Downside Deviation (Rf=0%) | 0.0138 |
| Downside Deviation (0%) | 0.0138 |
| Maximum Drawdown | 0.6621 |
| Historical VaR (95%) | -0.0296 |
| Historical ES (95%) | -0.0467 |
| Modified VaR (95%) | -0.0252 |
| Modified ES (95%) | -0.0252 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-02-27 | 2008-11-20 | 2010-09-20 | -0.6621 | 647 | 188 | 459 |
| 2010-11-08 | 2013-08-28 | 2018-01-11 | -0.5362 | 1807 | 706 | 1101 |
| 2018-01-25 | 2020-03-23 | 2021-01-04 | -0.5143 | 741 | 543 | 198 |
| 2021-01-15 | 2021-01-29 | 2021-02-03 | -0.0659 | 13 | 10 | 3 |
| 2021-03-12 | 2021-03-18 | NA | -0.0518 | 7 | 5 | NA |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | -3.5 | 4.4 | 1.4 | 1.3 | -2.1 | 3.7 | -0.4 | -0.1 | -2 | -8.7 | -0.4 | -7 |
| 2009 | 2.2 | -2.9 | 4.8 | 1 | 3.1 | 1.8 | 0.7 | -2.8 | -2.1 | -5.3 | 2.9 | -0.2 | 2.9 |
| 2010 | 2.5 | 2 | 1.2 | -1.6 | -1.9 | 0.4 | 0.3 | 2.7 | 3 | 0.7 | 3.9 | 1.4 | 15.4 |
| 2011 | 0 | 1.6 | 0.9 | -0.2 | -0.6 | 0.3 | 0.3 | -0.5 | -3.6 | -2.3 | 0.2 | -0.8 | -4.9 |
| 2012 | 3.4 | 0.7 | 3 | 0.1 | -1.3 | 5.6 | 0.4 | 0.2 | 2 | 2 | 1.2 | 1.2 | 19.9 |
| 2013 | 0.4 | -0.6 | -0.5 | -0.8 | -2.7 | 1.4 | 0.9 | 2.7 | 1.4 | 0.9 | 2.1 | 0.9 | 6 |
| 2014 | 0.1 | -0.2 | 1.1 | -0.1 | -1.4 | 1.6 | -0.3 | 0.2 | -1.6 | 1.6 | -0.8 | 0.2 | 0.2 |
| 2015 | -3 | 2.3 | 1.5 | 0.9 | 0.1 | 1.3 | 1.1 | -3.3 | -1.1 | -0.7 | 0.3 | 0.8 | 0.1 |
| 2016 | -0.9 | 5 | -0.1 | -0.3 | -0.3 | 1.3 | -0.5 | 0.5 | 2.3 | -0.4 | -0.9 | 0.3 | 6.1 |
| 2017 | 0.7 | 1.6 | 0.1 | 0.1 | 0.9 | 0.7 | 0.8 | 1.1 | 1.1 | 0.8 | -1.5 | 0.7 | 7.3 |
| 2018 | -1.7 | -0.3 | 1.1 | -0.3 | 0.5 | 1.9 | -0.1 | 0.7 | -0.2 | 3.1 | -0.5 | -0.2 | 3.8 |
| 2019 | -1.2 | 0.3 | 0.8 | -0.2 | 0.5 | 0.4 | -1.5 | 0.5 | -2.2 | 1.5 | -0.8 | 0.3 | -1.8 |
| 2020 | -1.5 | -3.3 | -6.5 | -3.4 | 3.2 | 2 | -0.9 | 1.8 | 1.4 | 0 | 3.4 | 0.5 | -3.7 |
| 2021 | 3.9 | 3 | 2.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 9.4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-02-22 25.2 SPY 136. 0.0062 0.0033 0.0131 -0.0624 -0.0703 0.126 0.608 GLD 93.4 0.0015 0.041
2 2008-02-25 25.9 SPY 137. 0.0126 0.0162 0.0173 -0.0307 -0.0549 0.158 0.612 GLD 92.7 -0.007 0.0403
3 2008-02-26 26.2 SPY 138. 0.0075 0.021 0.04 -0.04 -0.0469 0.158 0.651 GLD 93.7 0.0105 0.0233
4 2008-02-27 26.1 SPY 138. -0.001 0.0169 0.022 -0.0194 -0.0092 0.150 0.636 GLD 94.8 0.0114 0.0165
5 2008-02-28 25.7 SPY 137. -0.0098 0.0154 0.0071 -0.04 -0.0288 0.127 0.644 GLD 96.0 0.0128 0.0294
6 2008-02-29 24.8 SPY 134. -0.0223 -0.0133 -0.0081 -0.0905 -0.0476 0.109 0.587 GLD 96.2 0.002 0.0299
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
